Adding my comment from #2044 as that is a duplicate of this bug:
When you have any of the settings gumps open by going through the menu gump (e.g. ESC->Video settings) and then hit Alt+Q/X, Exult will ask whether you want to quit but only close the top gump not actually exit.
In the Exult start menu it will not even exit unless you are in the games list, while in game it will exit when the menu gump is open.